V-Lab: E1 Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

E1 Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:25.36% (-1.55%)

Analysis last updated: Thursday, April 18, 2024 at 10:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5260	5.31
$α$	0.1233	5.40
$β$	0.7668	19.51
$γ_{1}$	-0.2445	-2.95
$γ_{2}$	0.3858	3.06
$γ_{3}$	-0.0882	-0.93
$γ_{4}$	-0.1881	-2.09
$γ_{5}$	0.2386	2.99
$γ_{6}$	-0.1949	-3.00
$γ_{7}$	0.2028	3.43
$γ_{8}$	-0.1555	-2.30
$γ_{9}$	0.0378	0.63

Estimation Period:
Aug 27, 1997 to Apr 12, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts